Hi, I use Interactive Brokers TWS and noticed that the chart for the SPX Index is not the same as the one Yahoo or Ameritrade has. I made a screenshot and highlighted some candles that clearly differ from the official one. You can see the Yahoo chart for the S&P500 Index here. So does anybody else use Interactive Brokers? First, I thought the data outside of regular hours didn't show, but at chart parameters I can't change it cause it's greyed out.
Yes, I've seen the same things...As you've noticed three of the discrepancies occurred on very volatile market bottoms...If you are using a third party software package that is streaming the IB data feed, your option is to manually go in there and correct the prices...
Third party? This is Interactive Brokers, I pay a monthly fee for this data. Can anyone check the candles on his screen and tell me if they see other data?
What I'm saying is that I use the IB data feed for third party charting software, so I see the same discrepancies in the data. Here is a look at a chart of the SPX with the IB datafeed. See if you have the same price errors.
This is normal because its common for some brokers to "filter" their data. Although IB is big...its data integrity is NOT superior like Bloomberg, Reuters, CQG because these guys are top tier data vendors whereas IB is more like 3rd tier data vendors. I've been involved in the markets for +20 years and I've never seen data from top tier vendors exactly the same as data from 2nd or 3rd tier vendors. In fact, its common to see differences in the data between 3rd tier data vendors. This is a problem not just on times & sales...its also a problem on bid/ask info. You just need to get use to it and if you need the most accurate data as possible...you're going to need to fork over the money and subscribe to something like Bloomberg, CQG or Reuters. By the way, if you search hard enough on Youtube, you'll find videos showing this problem between brokers, between data vendors and between brokers versus data vendors. Yep, it sucks but just be happy its not Forex...they are the worst when it comes to differences in data when comparing one to the other due to them not being centralized. I just find it funny how all these data vendors screen that their data is better than the other guy.
Since it's a daily chart on SPX, it may or may not affect trading decisions, but I'd kind of doubt it...It's easy enough to correct the erroneous price bars if it bothers someone enough...I figure it's more important on the microstructure for trading purposes if/when the data is really bad.
Hopefully one doesn't need to correct it every day. Not a big deal when it comes to index like the SPX but the real problem is differences on the intraday data for intraday traders. I and several other traders rented an office once and we all used different brokers and different charting vendors. All of us day traders and I was amazed at the frequency of the difference in the data...just a few ticks here and there but noticeable. Someone like a scalper...they'll need to subscribe to the best data they can possibly afford.
Well, I'm not a scalper but I think it's a big problem no matter. Especially if you start drawing trendlines on candles that aren't correct. The biggest joke is that I'm paying to get this incorrect data.
I would not be surprised by this. Do you subscribe to the required real time market data? Comparing IB and Yahoo, is like complaining that your Honda does not drive like a Porsche. Real time market data is not free. Since when does Yahoo provide real time market data and for free for that matter?
The weird part is that post number 6 says he's using IB Feed in a 3rd party software and has a completely different chart. Those highlighted by OP do not exist in post 6's chart. I use IQFeed and Amibroker and have what I would consider identical to number 6.